创建linearmodels包是为了将statsmodels扩展到panelOLS（请参阅https://github.com/bashtage/linearmodels）。下面是包文档中的示例：

import numpy as np
from statsmodels.datasets import grunfeld
data = grunfeld.load_pandas().data
data.year = data.year.astype(np.int64)

# MultiIndex, entity - time

data = data.set_index(['firm','year'])
from linearmodels import PanelOLS
mod = PanelOLS(data.invest, data[['value','capital']], entity_effect=True)
res = mod.fit(cov_type='clustered', cluster_entity=True)

最佳丹尼尔